0
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Engle Granger test is giving me a ans = 0. The correlation factor is: 0.8+

Does this imply the No cointegration hypothesis is true? i.e. as per my understanding that there is cointegration?

I am using matlab.

Thanks. I am completely new to matlab and this level of statistics/econometrics. I have been trading pairs using lower level stats and looking to improve the model.

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  • $\begingroup$ I advice you to read a book on time series analysis. It is strongly recommended to know what you're doing in statistics. $\endgroup$ – Good Guy Mike Apr 16 '14 at 19:17
  • $\begingroup$ @GoodGuyMike thanks, as noted in earlier question. Seeking one out right now. :) $\endgroup$ – user3126171 Apr 16 '14 at 19:26
  • $\begingroup$ To answer your question. Correlation and cointegration is basically not the same thing. I wish I could answer your other question as well on Johansens (I think that was the test you used), unfortunately I don't know that test well enough to ensure my credibility. $\endgroup$ – Good Guy Mike Apr 17 '14 at 14:38
  • $\begingroup$ Thanks @GoodGuyMike, Reading up the literature and still can't figure out anything. Trying and trying again. :) $\endgroup$ – user3126171 Apr 18 '14 at 10:58

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